J-REITによる物件売買とエージェンシー問題

抄録

This article examines agency problems in the management of Japanese real estate investment trusts (J-REITs). J-REITs, which are externally advised, have potential conflicts of interest and might not trade assets with their sponsors at a fair price. With the use of data on individual properties, we investigate the existence of agency problems in transactions of properties between J-REITs and their sponsors. First, the assets purchased by J-REITs from their sponsors do not exhibit negative abnormal returns on average. Second, analysis on the categories of sponsors shows that properties which foreign sponsors sold to their J-REITs exhibit poor performances. Large domestic real estate firms, however, supply good properties to their J-REITs that yield high returns. Finally, we provide evidence that J-REITs sold their assets to their sponsors at low prices before the financial crisis in September 2008, which results in worse performance of them. This suggests the existence of agency problems.